Multilevel Monte Carlo methods and statistical inference for financial models

Ahmed Kebaier

Habilitation À Diriger Des Recherches Year : 2017

Multilevel Monte Carlo methods and statistical inference for financial models

Méthodes Multilevel Monte Carlo et Statistiques des Processus en Finance

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Ahmed Kebaier

Function : Author
PersonId : 897096
IdHAL : ahmed-kebaier
ORCID : 0000-0003-3468-8811
IdRef : 123228816

Laboratoire Analyse, Géométrie et Applications

Keywords

Multilevel Monte Carlo Functional limit theorems Malliavin calculus Statistics of processes for financial models Numerical probabilities Jump processes Stochastic algorithms Finance Quantitative

Multilevel Monte Carlo methods Théorèmes limites fonctionnels Calcul de Malliavin Probabilités numériques Statistique des processus Algorithmes stochastiques Processus à sauts Processus de branchement-diffusion

Domains

Probability [math.PR] Statistics [math.ST] Computational Finance [q-fin.CP] Pricing of Securities [q-fin.PR]

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HDR-Kebaier.pdf (1.1 Mo)

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Submitted on : Monday, January 15, 2018-5:07:41 PM

Last modification on : Friday, March 24, 2023-2:53:06 PM

Long-term archiving on : Monday, May 7, 2018-11:59:13 AM

Dates and versions

tel-01684717 , version 1 (15-01-2018)

tel-01684717 , version 2 (23-05-2021)

Identifiers

HAL Id : tel-01684717 , version 1

Cite

Ahmed Kebaier. Multilevel Monte Carlo methods and statistical inference for financial models. Probability [math.PR]. Université Paris 13, 2017. ⟨tel-01684717v1⟩

Multilevel Monte Carlo methods and statistical inference for financial models

Méthodes Multilevel Monte Carlo et Statistiques des Processus en Finance

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